Down here, they are at every grocery store. I grow my own every summer, and they will grow up there. They are really easy to grow. Pests generally leave them alone.
When picking them out, go for feel, not so much for looks. They should feel firm. A dark green color is good, too, but little lines that make them look a little dried out is not necessarily a problem. Jalepeños grown a little stingy on the water will often be hotter, from my experience.
Be sure to clean the seeds out, because they are bitter. The whitish membrane has a lot of heat, so leave it or remove it depending on your tastes.